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Documents authored by Doriguello, João F.

Document
DOI: 10.4230/LIPIcs.TQC.2022.2
Quantum Algorithm for Stochastic Optimal Stopping Problems with Applications in Finance

Authors: João F. Doriguello, Alessandro Luongo, Jinge Bao, Patrick Rebentrost, and Miklos Santha

Published in: LIPIcs, Volume 232, 17th Conference on the Theory of Quantum Computation, Communication and Cryptography (TQC 2022)

Abstract
The famous least squares Monte Carlo (LSM) algorithm combines linear least square regression with Monte Carlo simulation to approximately solve problems in stochastic optimal stopping theory. In this work, we propose a quantum LSM based on quantum access to a stochastic process, on quantum circuits for computing the optimal stopping times, and on quantum techniques for Monte Carlo. For this algorithm, we elucidate the intricate interplay of function approximation and quantum algorithms for Monte Carlo. Our algorithm achieves a nearly quadratic speedup in the runtime compared to the LSM algorithm under some mild assumptions. Specifically, our quantum algorithm can be applied to American option pricing and we analyze a case study for the common situation of Brownian motion and geometric Brownian motion processes.
Cite as

João F. Doriguello, Alessandro Luongo, Jinge Bao, Patrick Rebentrost, and Miklos Santha. Quantum Algorithm for Stochastic Optimal Stopping Problems with Applications in Finance. In 17th Conference on the Theory of Quantum Computation, Communication and Cryptography (TQC 2022). Leibniz International Proceedings in Informatics (LIPIcs), Volume 232, pp. 2:1-2:24, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2022)

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@InProceedings{doriguello_et_al:LIPIcs.TQC.2022.2,
  author =	{Doriguello, Jo\~{a}o F. and Luongo, Alessandro and Bao, Jinge and Rebentrost, Patrick and Santha, Miklos},
  title =	{{Quantum Algorithm for Stochastic Optimal Stopping Problems with Applications in Finance}},
  booktitle =	{17th Conference on the Theory of Quantum Computation, Communication and Cryptography (TQC 2022)},
  pages =	{2:1--2:24},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-237-2},
  ISSN =	{1868-8969},
  year =	{2022},
  volume =	{232},
  editor =	{Le Gall, Fran\c{c}ois and Morimae, Tomoyuki},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/LIPIcs.TQC.2022.2},
  URN =		{urn:nbn:de:0030-drops-165091},
  doi =		{10.4230/LIPIcs.TQC.2022.2},
  annote =	{Keywords: Quantum computation complexity, optimal stopping time, stochastic processes, American options, quantum finance}
}
Document
DOI: 10.4230/LIPIcs.TQC.2020.1
Exponential Quantum Communication Reductions from Generalizations of the Boolean Hidden Matching Problem

Authors: João F. Doriguello and Ashley Montanaro

Published in: LIPIcs, Volume 158, 15th Conference on the Theory of Quantum Computation, Communication and Cryptography (TQC 2020)

Abstract
In this work we revisit the Boolean Hidden Matching communication problem, which was the first communication problem in the one-way model to demonstrate an exponential classical-quantum communication separation. In this problem, Alice’s bits are matched into pairs according to a partition that Bob holds. These pairs are compressed using a Parity function and it is promised that the final bit-string is equal either to another bit-string Bob holds, or its complement. The problem is to decide which case is the correct one. Here we generalize the Boolean Hidden Matching problem by replacing the parity function with an arbitrary function f. Efficient communication protocols are presented depending on the sign-degree of f. If its sign-degree is less than or equal to 1, we show an efficient classical protocol. If its sign-degree is less than or equal to 2, we show an efficient quantum protocol. We then completely characterize the classical hardness of all symmetric functions f of sign-degree greater than or equal to 2, except for one family of specific cases. We also prove, via Fourier analysis, a classical lower bound for any function f whose pure high degree is greater than or equal to 2. Similarly, we prove, also via Fourier analysis, a quantum lower bound for any function f whose pure high degree is greater than or equal to 3. These results give a large family of new exponential classical-quantum communication separations.
Cite as

João F. Doriguello and Ashley Montanaro. Exponential Quantum Communication Reductions from Generalizations of the Boolean Hidden Matching Problem. In 15th Conference on the Theory of Quantum Computation, Communication and Cryptography (TQC 2020). Leibniz International Proceedings in Informatics (LIPIcs), Volume 158, pp. 1:1-1:16, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2020)

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@InProceedings{doriguello_et_al:LIPIcs.TQC.2020.1,
  author =	{Doriguello, Jo\~{a}o F. and Montanaro, Ashley},
  title =	{{Exponential Quantum Communication Reductions from Generalizations of the Boolean Hidden Matching Problem}},
  booktitle =	{15th Conference on the Theory of Quantum Computation, Communication and Cryptography (TQC 2020)},
  pages =	{1:1--1:16},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-146-7},
  ISSN =	{1868-8969},
  year =	{2020},
  volume =	{158},
  editor =	{Flammia, Steven T.},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/LIPIcs.TQC.2020.1},
  URN =		{urn:nbn:de:0030-drops-120601},
  doi =		{10.4230/LIPIcs.TQC.2020.1},
  annote =	{Keywords: Communication Complexity, Quantum Communication Complexity, Boolean Hidden Matching Problem}
}
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